That’s caused by the different standards used in line endings (LineFeed or LF in Linux and CarriageReturn + LineFeed or CRLF in Windows).
You can set the encoding you want by either of the following ways:
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Click the LF or CRLF button on the status bar (near the bottom right corner), then select LF or CRLF.

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Go to the command palette (SHIFT+CTRL+p) and type “end of line” (that’s the mnemonic I use) until you find the command Change End of Line Sequence.